Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1671
Annualized Std Dev 0.3621
Annualized Sharpe (Rf=0%) 0.4616

Row

Daily Return Statistics

Close
Observations 3536.0000
NAs 1.0000
Minimum -0.1958
Quartile 1 -0.0092
Median 0.0015
Arithmetic Mean 0.0009
Geometric Mean 0.0006
Quartile 3 0.0125
Maximum 0.2142
SE Mean 0.0004
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0016
Variance 0.0005
Stdev 0.0228
Skewness -0.2659
Kurtosis 8.5008

Downside Risk

Close
Semi Deviation 0.0167
Gain Deviation 0.0155
Loss Deviation 0.0179
Downside Deviation (MAR=210%) 0.0206
Downside Deviation (Rf=0%) 0.0163
Downside Deviation (0%) 0.0163
Maximum Drawdown 0.6899
Historical VaR (95%) -0.0348
Historical ES (95%) -0.0551
Modified VaR (95%) -0.0344
Modified ES (95%) -0.0613
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-05 2012-07-18 -0.6899 1309 459 850
2020-01-23 2020-03-23 2020-08-31 -0.5100 154 42 112
2015-07-21 2016-02-11 2017-06-21 -0.3807 484 143 341
2018-10-02 2018-12-24 2019-11-25 -0.3143 290 58 232
2018-01-29 2018-04-02 2018-08-20 -0.2459 141 44 97

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -1.6 0.1 0.5 0.3 -1.2 -1.5 1.6 2.8 -2.9 0.6 -1.9 -3.2
2008 1.8 -3.6 4 2.6 0.6 -0.3 -1.6 -2 0.2 2.5 -12 1.8 -6.6
2009 -3 -8.2 -1.5 -0.6 1.6 -0.6 -1 -2.7 -3.6 -2.9 2.5 -2.1 -20.4
2010 0.8 2 1.3 -2.2 -2.8 -1.6 0.9 4.8 -0.4 -0.1 2.9 -0.3 5.2
2011 3.2 -1.2 0.8 0 -2.6 2.5 -4 -1.5 -1.4 -4 0.3 -0.6 -8.4
2012 2.3 0.9 1.5 1.1 -4.6 3.8 0.4 -0.1 0.5 2.2 0.2 2.1 10.8
2013 1.2 0.2 -0.1 -2 -4.4 1.3 0.9 -1.3 2.6 1.4 -0.1 -0.1 -0.4
2014 -1.5 -0.4 1.5 1.2 0.2 2.9 -0.1 1.1 -2.2 1 0 -1.8 1.7
2015 -3.5 -0.8 -3.8 2.5 -0.2 1.7 1.5 -5.7 1.9 -0.9 3.1 -1.9 -6.5
2016 1.3 3.9 2.8 -3.1 0.4 0.8 1.2 -0.4 2.3 -0.6 -1.7 -0.3 6.5
2017 2.3 2 -0.2 0.5 2.7 -0.2 -0.5 0 1 0.5 -0.2 -0.4 7.6
2018 0.4 -3.6 2 0.1 2.2 0.6 0.4 0.1 0.8 3 1.8 1.9 9.8
2019 0 3 0.5 -0.9 -1.6 1.1 0 0.6 -2 1 -0.7 0.6 1.4
2020 -3.8 -3 -8.1 -4.7 -2.1 1.2 -1.7 -2.6 -1.2 -1.9 1.5 1.7 -22.4
2021 0.3 1.8 1 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  8.88 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-05  8.91 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
3 2007-02-06  8.88 SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
4 2007-02-07  8.92 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08  8.93 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09  8.85 SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart